It's not only yours and mine favorite - its also a favorite of Asimov himself. Here is what he written about The Last Question in the 1973 release of "The Best of Isaac Asimov":
‘The Last Question’ is my personal favorite, the one story I made sure would not be omitted from this collection. Why is it my favorite? For one thing I got the idea all at once and didn’t have to fiddle with it; and I wrote it in white-heat and scarcely had to change a word. This sort of thing endears any story to any writer. Then, too, it has had the strangest effect on my readers. Frequently someone writes to ask me if I can write them the name of a story, which they think I may have written, and tell them where to find it. They don’t remember the title but when they describe the story it is invariably ‘The Last Question’. This has reached the point where I recently received a long-distance phone call from a desperate man who began, ‘Dr. Asimov, there’s a story I think you wrote, whose title I can’t remember–’ at which point I interrupted to tell him it was ‘The Last Question’ and when I described the plot it proved to be indeed the story he was after. I left him convinced I could read minds at a distance of a thousand miles. No other story I have written has anything like this effect on my readers—producing at once an unshakeable memory of the plot and an unshakeable forgettery of the title and even author. I think it may be that the story fills them so frighteningly full, that they can retain none of the side-issues.
> I got the idea all at once and didn’t have to fiddle with it; and I wrote it in white-heat and scarcely had to change a word. This sort of thing endears any story to any writer.
I have had that experience about code twice. The first was when I "got" how I could use recursion to draw a Koch curve fractal. That was in highschool, using VB5. The second time a few years later, when I (on my own) came up with the trie datastructure. I used it to count the frequencies of words in The Hichhikers Guide To The Galaxy.
The "unshakeable forgettery of the author", and also the surprising nature of the ending for many readers, may be caused by the well-known fact that Asimov was a staunch Atheist, so you wouldn't normally expect even an oblique theogony to come out his typewriter. :)